IBM: Legal & General Takes A Sophisticated Approach To Capital Modelling

The need
With Solvency II on the horizon, Legal & General needed a risk modelling solution to calculate its capital requirements. The company saw this as an opportunity to gain deeper insight into risk across its business.

The solution
Legal & General used the IBM® Algorithmics® Economic Capital, Enterprise Risk Management and Solvency II solution to enable a simulation-based approach for determining solvency capital, modelling each asset individually and using curvefitting techniques to

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